Show simple item record

dc.contributor.authorQian, M.en_US
dc.contributor.authorTanyeri, B.en_US
dc.date.accessioned2019-02-07T06:14:31Z
dc.date.available2019-02-07T06:14:31Z
dc.date.issued2017en_US
dc.identifier.issn1572-3089
dc.identifier.urihttp://hdl.handle.net/11693/48981
dc.description.abstractWe investigate whether anticipation of adverse events (litigation about market timing and late trading) may trigger mutual-fund runs. We find that runs start as early as three months prior to litigation announcements. Pre-litigation runs accumulate to 31 basis points of the total net assets over a three-month window; post-litigation runs may last more than six months and accumulate to 1.25 percent over the first three-month window. Additionally, investors who run before litigation announcements earn significantly higher risk-adjusted and peer-adjusted returns than those who run after litigation. The difference in returns is particularly pronounced for funds holding illiquid assets. Finally, securities held by litigated fund families significantly underperform vis-á-vis other securities in terms of lower abnormal returns and liquidity. Our analysis suggests that a pro-rata ownership design is insufficient to prevent mutual-fund runs.en_US
dc.language.isoEnglishen_US
dc.source.titleJournal of Financial Stabilityen_US
dc.relation.isversionofhttps://doi.org/10.1016/j.jfs.2017.05.011en_US
dc.subjectMutual-fund flowsen_US
dc.subjectLitigationen_US
dc.subjectReturnsen_US
dc.subjectG23en_US
dc.subjectG14en_US
dc.titleLitigation and mutual-fund runsen_US
dc.typeArticleen_US
dc.departmentDepartment of Managementen_US
dc.citation.spage119en_US
dc.citation.epage135en_US
dc.citation.volumeNumber31en_US
dc.identifier.doi10.1016/j.jfs.2017.05.011en_US
dc.publisherElsevier Inc.en_US
dc.embargo.release2019-08-01en_US
dc.identifier.eissn1878-0962


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record